I took a 15 gallon keg, cut out the top (like for a boil kettle), drilled a hole in the bottom. I welded a 1/2 inch threaded coupling over this hole, and installed a valve. Inside, I put a circular false bottom. I had to cut slots in my top opening to accommodate the screen's installation and removal.

I built a wooden box, roughly a cube, around the keg and filled it with Great Stuff spray in insulation. When I use it, my temps only drop about one degree in an hour.

My one mistake in engineering the Mashtun was welding another coupling in the side to accept a dial thermometer. I made the hole too high, so when I'm doing a five gallon batch, the mash is actually below my thermo.

used to have the 10gallon home depot rubbermaid cooler with a false bottom from morebeer. that worked very well provided that you heat it up before doughing in. now i've got a 1550, and with it a 15gallon stainless steel mash tun, which is good, but i think i'll be adding some insulation on it at some point. brewing in the winter especially, i can't imagine the temperature gradient that exists when it's -5 outside, and 65 inside.